MSFT Options History — July 2015 In July 2015, MSFT traded between $44.25 and $47.17. ATM implied volatility averaged 23.3%, placing in the 67.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.8% (HV 20d: 16.6%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.76.
Notable Days 2015-07-21 : Highest Volume — 340,105 contracts2015-07-22 : Largest IV drop — 30.5% change2015-07-08 : Highest IV Rank — 98.7%2015-07-21 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $45.63 $44.25 $47.17 $44.44 $46.74 Max Pain $45.41 $45.00 $46.00 $45.00 $46.00 ATM IV 23.3% 18.0% 28.0% 25.3% 18.0% Expected Move 6.4% 5.3% 7.9% 5.6% 5.3% HV 20d 16.6% 12.9% 20.8% 15.8% 20.8% HV 60d 23.6% 17.5% 27.4% 27.3% 18.1% IV Rank 67.2% 30.7% 98.7% 80.4% 30.7% IV Percentile 77.1% 36.5% 99.6% 95.2% 36.5% Term Structure -0.8% -2.0% 0.3% -0.7% -0.1% VWIV 22.5% 18.2% 26.7% 19.2% 18.2% Skew 25d 2.5% 1.5% 3.4% 2.5% 1.9% Skew 10d 4.8% 2.7% 6.8% 4.7% 3.0% Call IV 25d 22.3% 16.9% 27.0% 24.7% 16.9% Put IV 25d 24.8% 18.8% 30.4% 27.1% 18.8% Bid-Ask Spread % 9.99 4.92 18.05 12.13 13.94 Gamma HHI 0.10 0.09 0.15 0.09 0.12 Net GEX 48.1M 20.3M 98.8M 23.9M 76.5M Net DEX -675.0M -1.37B -75.8M -104.5M -1.15B Net VEX -13.9M -14.2M -13.3M -14.0M -14.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.42 1.77 0.79 0.53 Total Volume 108,115 43,774 340,105 87,160 76,076 Total OI 2,006,931.636 1,717,640 2,107,973 1,984,589 2,082,530
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-07-01 $44.44 $45.00 25.3% 5.6% 15.8% 80.4% 19.2% 2.5% -0.7% 23.9M -104.5M -14.0M 0.79 12.13 N/A N/A 48,734 38,426 1,080,981 903,608 2015-07-02 $44.44 $45.00 25.6% 5.6% 15.5% 82.5% 20.0% 2.6% -0.8% 25.3M -113.6M -14.0M 0.75 13.26 N/A N/A 50,063 37,615 1,091,839 906,187 2015-07-06 $44.37 $46.00 26.3% 7.2% 15.5% 87.2% 25.4% 3.0% -1.0% 26.4M -146.1M -13.9M 1.12 6.94 N/A N/A 20,618 23,156 1,088,667 894,944 2015-07-07 $44.25 $46.00 26.7% 7.3% 15.3% 90.0% 24.4% 2.8% -1.0% 23.4M -75.8M -13.8M 0.49 9.40 N/A N/A 71,312 34,716 1,093,034 900,037 2015-07-08 $44.33 $45.00 28.0% 7.7% 15.3% 98.7% 25.9% 3.4% -1.5% 27.5M -193.1M -14.2M 0.82 10.05 N/A N/A 47,679 39,172 1,111,355 906,115 2015-07-09 $44.63 $45.00 27.8% 7.5% 12.9% 97.4% 26.3% 3.2% -1.3% 38.3M -304.7M -14.1M 0.72 6.80 N/A N/A 35,282 25,327 1,120,611 914,308 2015-07-10 $44.70 $45.00 27.2% 7.2% 13.0% 93.1% 25.9% 3.4% -1.2% 35.6M -300.9M -13.9M 0.61 6.96 N/A N/A 32,445 19,861 1,127,275 922,482 2015-07-13 $45.59 $45.00 25.4% 7.0% 14.8% 81.1% 24.4% 2.3% -0.9% 55.9M -716.5M -14.0M 0.67 6.75 N/A N/A 37,837 25,464 1,115,406 915,320 2015-07-14 $45.65 $45.00 24.2% 6.8% 14.2% 72.9% 23.5% 3.0% -0.4% 59.9M -802.0M -13.3M 0.57 4.92 N/A N/A 35,682 20,292 1,125,543 916,293 2015-07-15 $45.74 $45.00 24.3% 6.7% 14.0% 73.3% 23.7% 2.7% -0.9% 68.4M -874.2M -13.3M 0.49 7.65 N/A N/A 32,130 15,586 1,134,920 922,127 2015-07-16 $46.67 $45.00 22.8% 6.4% 15.7% 63.4% 22.5% 2.7% -1.1% 98.8M -1.37B -13.7M 0.60 6.91 N/A N/A 46,367 27,799 1,147,567 923,441 2015-07-17 $46.60 $45.00 25.0% 7.0% 14.6% 78.6% 24.6% 2.7% -1.7% 74.5M -1.31B -13.6M 0.79 5.90 N/A N/A 61,076 48,191 1,137,375 930,190 2015-07-20 $46.91 $45.00 26.1% 7.4% 14.0% 86.0% 26.0% 2.8% -1.5% 64.3M -1.20B -13.6M 0.55 8.99 N/A N/A 93,960 51,885 941,806 775,834 2015-07-21 $47.17 $45.00 27.5% 7.9% 14.1% 95.4% 26.7% 2.6% -2.0% 69.6M -1.31B -14.0M 0.50 9.48 N/A N/A 226,651 113,454 982,598 796,538 2015-07-22 $45.46 $45.00 19.1% 5.5% 19.3% 38.7% 19.3% 1.5% -0.5% 36.6M -482.3M -13.4M 1.51 18.05 N/A N/A 117,428 177,873 1,114,477 837,406 2015-07-23 $46.07 $46.00 18.8% 5.4% 19.8% 36.7% 20.0% 1.6% -0.7% 31.4M -690.4M -14.2M 0.80 10.46 N/A N/A 78,061 62,148 1,134,201 938,213 2015-07-24 $45.99 $46.00 19.4% 5.6% 19.8% 40.7% 20.5% 1.6% -0.2% 28.2M -735.7M -14.1M 1.77 12.34 N/A N/A 42,826 75,698 1,164,796 943,177 2015-07-27 $45.31 $46.00 20.5% 6.1% 20.2% 47.7% 21.3% 2.5% -0.3% 20.3M -356.0M -13.8M 0.69 14.01 N/A N/A 43,968 30,224 1,085,832 906,522 2015-07-28 $45.37 $46.00 19.3% 5.9% 18.9% 39.8% 20.1% 2.5% 0.3% 22.7M -389.1M -13.6M 1.08 11.08 N/A N/A 45,465 49,044 1,097,423 914,003 2015-07-29 $46.35 $46.00 18.4% 5.4% 20.2% 33.7% 19.1% 1.9% -0.0% 61.9M -914.7M -14.2M 0.47 11.92 N/A N/A 63,525 30,055 1,117,681 924,123 2015-07-30 $47.01 $46.00 18.0% 5.3% 20.6% 30.8% 18.9% 2.1% -0.2% 88.7M -1.31B -14.1M 0.42 11.86 N/A N/A 88,352 37,007 1,133,627 932,084 2015-07-31 $46.74 $46.00 18.0% 5.3% 20.8% 30.7% 18.2% 1.9% -0.1% 76.5M -1.15B -14.0M 0.53 13.94 N/A N/A 49,676 26,400 1,148,616 933,914
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